Bid and ask prices as non-linear continuous time G-expectations based on distortions
Year of publication: |
2014
|
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Authors: | Eberlein, Ernst ; Madan, Dilip B. ; Pistorius, Martijn ; Yor, Marc |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 8.2014, 3, p. 265-289
|
Subject: | Discounted variance gamma | Measure distortions | Inhomogeneous loss process | Law invariant risk measures | Theorie | Theory | Messung | Measurement | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure |
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